CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	51
α ARCH Response to squared shocks	0.0969	122.61***
β GARCH Volatility persistence	0.0000	0.02
γ leverage Additional response to negative shocks	0.4145	145.25***
λ₁ tau intercept Baseline long-term coefficient	0.0688	5.14***
λ₂ forecast adj. Forecast performance sensitivity	1.0000	8.02***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Kaleon SpA MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Kaleon SpA Analyses